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The Journal of Alternative Investments

The Journal of Alternative Investments

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The Predictability of Alternative UCITS Fund Returns

Michael Busack, Wolfgang Drobetz and Jan Tille
The Journal of Alternative Investments Summer 2019, 22 (1) 76-95; DOI: https://doi.org/10.3905/jai.2019.22.1.076
Michael Busack
is managing director of Absolut Research GmbH in Hamburg, Germany
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Wolfgang Drobetz
is professor of finance at the Faculty of Business, Hamburg University in Hamburg, Germany
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Jan Tille
is co-head of research for Absolut Research GmbH in Hamburg, Germany
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Abstract

The authors study the out-of-sample predictability of the returns of pan-European harmonized mutual funds that follow hedge fund–like investment strategies (“alternative UCITS”) and allow retail investors to gain access to nontraditional investment strategies. Given these funds’ higher liquidity compared with hedge funds, investors could exploit relevant information more easily and use it for their asset allocation and risk management decisions. Using a large set of fundamental and technical variables, the authors estimate single predictor models, combination forecasts, and multivariate regression models. Forming hypothetical funds-of-funds portfolios based on predicted returns generates economic gains for investors, especially during crisis times. Combination approaches and multivariate models reduce estimation uncertainty and lead to economic gains across different market environments.

TOPICS: Mutual funds/passive investing/indexing, real assets/alternative investments/private equity, performance measurement, developed markets, statistical methods

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The Journal of Alternative Investments: 22 (1)
The Journal of Alternative Investments
Vol. 22, Issue 1
Summer 2019
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The Predictability of Alternative UCITS Fund Returns
Michael Busack, Wolfgang Drobetz, Jan Tille
The Journal of Alternative Investments Jun 2019, 22 (1) 76-95; DOI: 10.3905/jai.2019.22.1.076

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The Predictability of Alternative UCITS Fund Returns
Michael Busack, Wolfgang Drobetz, Jan Tille
The Journal of Alternative Investments Jun 2019, 22 (1) 76-95; DOI: 10.3905/jai.2019.22.1.076
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